What is a persistent variable in the context of regression analysis? For example, dividend to price ratio (D/P) is considered to be persistent variable when used to model future returns (Stambaugh Bias literature).

I think this question is more suitable in stats.stackexchange.com In short, persistence is related to the long-term influence of a shock, e. g. that a one-off shock on the d/p would have an "everlasting" influence on the average return level.
–
Owe JessenMar 7 '11 at 14:23

Sounds about right. If you submit this as an answer... I'll tick it as accepted.
–
user40Mar 7 '11 at 15:44